How the jensen measure of performance is calculated

Reference no: EM13267725

Describe how the Jensen measure of performance is calculated. Under what conditions should it give a similar set of portfolio rankings as the Sharpe and Treynor measures? Is it possible to adjust the Jensen measure so that a portfolio's alpha value is measured relative to an empirical form of the arbitrage pricing theory rather than the capital asset pricing model? Explain.

Reference no: EM13267725

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